Analysis of data clusters obtained by self-organizing methods

V.v Gafiychuk, B.Yo Datsko and J Izmaylova

Physica A: Statistical Mechanics and its Applications, 2004, vol. 341, issue C, 547-555

Abstract: The self-organizing methods were used for the investigation of financial market. As an example we consider data time-series of Dow Jones index for the years 2002–2003 (R. Mantegna, cond-mat/9802256). In order to reveal new structures in stock market behavior of the companies drawing up Dow Jones index we apply self-organizing maps (SOM) and group method of data handling (GMDH) algorithms. Using SOM techniques we obtain SOM-maps that establish a new relationship in market structure. Analysis of the obtained clusters was made by GMDH.

Keywords: Self-organizing map; Group method of data handling (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:341:y:2004:i:c:p:547-555

DOI: 10.1016/j.physa.2004.04.115

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